Assuming you've got your PSP and your copy of WipEout Pure ready to go, you'll also need your pc to be connected to the internet via ethernet cable, a wifi card (or usb dongle) with promisc mode (such as the old wifimax) and you need the X-Link Kai tunnel software installed on your pc. There's a whole thread somewhere in the Pure section of the forum dedicated to help people go online with pure and X-Link Kai, but I can't find it right now and gave up searching the forums for now cause I have to wait 30 sec after every keyword search I did....

And you can always check out the teamxlink website borell gave here in this thread a page earlier (post number 1107) for more information on X-Link Kai...